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= 0.5522777761067107) +DualAQD vs QD: t-value = -3.842311. p-value = 0.003952523890967694) +DualAQD vs MC-Dropout-PI: t-value = -0.801784. p-value = 0.44333161563679546) MSE -DualAQD vs QD+: t-value = -3.325295. p-value = 0.008865242340217034) -DualAQD vs QD: t-value = -3.168531. p-value = 0.011392855526432513) -DualAQD vs MC-Dropout-PI: t-value = -0.362488. p-value = 0.725353477391629) +DualAQD vs QD+: t-value = -3.534201. p-value = 0.00637180005353644) +DualAQD vs QD: t-value = -3.567350. p-value = 0.006049279685891569) +DualAQD vs MC-Dropout-PI: t-value = -0.434043. p-value = 0.6744762158121598) diff --git a/CVResults/Concrete/DualAQD/alpha_0.01_long/weights-DualAQD-Concrete-1 b/CVResults/Concrete/DualAQD/alpha_0.01_long/weights-DualAQD-Concrete-1 deleted file mode 100644 index 43494d2e..00000000 Binary files a/CVResults/Concrete/DualAQD/alpha_0.01_long/weights-DualAQD-Concrete-1 and /dev/null differ diff --git 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a/CVResults/Concrete/comparison_MPIW.jpg b/CVResults/Concrete/comparison_MPIW.jpg index 3a594696..c2ff3dc6 100644 Binary files a/CVResults/Concrete/comparison_MPIW.jpg and b/CVResults/Concrete/comparison_MPIW.jpg differ diff --git a/CVResults/Concrete/comparison_MSE.jpg b/CVResults/Concrete/comparison_MSE.jpg index b4aee2de..421e98c3 100644 Binary files a/CVResults/Concrete/comparison_MSE.jpg and b/CVResults/Concrete/comparison_MSE.jpg differ diff --git a/CVResults/Concrete/comparison_PICP.jpg b/CVResults/Concrete/comparison_PICP.jpg index 5c612355..ae95a063 100644 Binary files a/CVResults/Concrete/comparison_PICP.jpg and b/CVResults/Concrete/comparison_PICP.jpg differ diff --git a/CVResults/Concrete/t-test.txt b/CVResults/Concrete/t-test.txt index 7a219625..0b254030 100644 --- a/CVResults/Concrete/t-test.txt +++ b/CVResults/Concrete/t-test.txt @@ -1,48 +1,12 @@ MPIW -DualAQD vs QD+: t-value = -4.055254. p-value = 0.0028622591575628692) -DualAQD vs QD: t-value = -20.993896. p-value = 5.917175199619248e-09) -DualAQD vs MC-Dropout-PI: t-value = -8.180660. p-value = 1.850980234097431e-05) +DualAQD vs QD+: t-value = -6.749805. p-value = 8.366738552242504e-05) +DualAQD vs QD: t-value = -19.039457. p-value = 1.4008796840155841e-08) +DualAQD vs MC-Dropout-PI: t-value = -11.407743. p-value = 1.1836120802872604e-06) PICP -DualAQD vs QD+: t-value = -2.121322. p-value = 0.06290237489334177) -DualAQD vs QD: t-value = -7.829343. p-value = 2.6285274787210374e-05) -DualAQD vs MC-Dropout-PI: t-value = 0.991553. p-value = 0.3417416177294981414) +DualAQD vs QD+: t-value = -0.230771. p-value = 0.8226530879603213) +DualAQD vs QD: t-value = -5.056210. p-value = 0.000684550574000363) +DualAQD vs MC-Dropout-PI: t-value = -1.500004. p-value = 0.1678495176602826) MSE -DualAQD vs QD+: t-value = -3.112950. p-value = 0.012459439912513873) -DualAQD vs QD: t-value = -7.703512. p-value = 2.9891728153325954e-05) -DualAQD vs MC-Dropout-PI: t-value = -1.157252. p-value = 0.2769595930460797) -MPIW -DualAQD vs QD+: t-value = -4.932168. p-value = 0.0008109197181903382) -DualAQD vs QD: t-value = -20.505875. p-value = 7.28341251007821e-09) -DualAQD vs MC-Dropout-PI: t-value = -10.864749. p-value = 1.7868282124955514e-06) -PICP -DualAQD vs QD+: t-value = 0.000000. p-value = 1.0) -DualAQD vs QD: t-value = -5.013778. p-value = 0.0007252115306612845) -DualAQD vs MC-Dropout-PI: t-value = -1.245684. p-value = 0.2443326634428257) -MSE -DualAQD vs QD+: t-value = -3.112950. p-value = 0.012459439912513873) -DualAQD vs QD: t-value = -7.703512. p-value = 2.9891728153325954e-05) -DualAQD vs MC-Dropout-PI: t-value = -1.157252. p-value = 0.2769595930460797) -MPIW -DualAQD vs QD+: t-value = -4.932168. p-value = 0.0008109197181903382) -DualAQD vs QD: t-value = -20.505875. p-value = 7.28341251007821e-09) -DualAQD vs MC-Dropout-PI: t-value = -10.864749. p-value = 1.7868282124955514e-06) -PICP -DualAQD vs QD+: t-value = 0.000000. p-value = 1.0) -DualAQD vs QD: t-value = -5.013778. p-value = 0.0007252115306612845) -DualAQD vs MC-Dropout-PI: t-value = -1.245684. p-value = 0.2443326634428257) -MSE -DualAQD vs QD+: t-value = -3.112950. p-value = 0.012459439912513873) -DualAQD vs QD: t-value = -7.703512. p-value = 2.9891728153325954e-05) -DualAQD vs MC-Dropout-PI: t-value = -1.157252. p-value = 0.2769595930460797) -MPIW -DualAQD vs QD+: t-value = -4.932168. p-value = 0.0008109197181903382) -DualAQD vs QD: t-value = -20.505875. p-value = 7.28341251007821e-09) -DualAQD vs MC-Dropout-PI: t-value = -10.864749. p-value = 1.7868282124955514e-06) -PICP -DualAQD vs QD+: t-value = 0.000000. p-value = 1.0) -DualAQD vs QD: t-value = -5.013778. p-value = 0.0007252115306612845) -DualAQD vs MC-Dropout-PI: t-value = -1.245684. p-value = 0.2443326634428257) -MSE -DualAQD vs QD+: t-value = -3.112950. p-value = 0.012459439912513873) -DualAQD vs QD: t-value = -7.703512. p-value = 2.9891728153325954e-05) -DualAQD vs MC-Dropout-PI: t-value = -1.157252. p-value = 0.2769595930460797) +DualAQD vs QD+: t-value = -2.765008. p-value = 0.021931789386910382) +DualAQD vs QD: t-value = -7.789053. p-value = 2.738521617731142e-05) +DualAQD vs MC-Dropout-PI: t-value = 0.404692. p-value = 0.6951531459328688) diff --git a/CVResults/Protein/DualAQD/regression_report-DualAQD-Protein.txt b/CVResults/Protein/DualAQD/regression_report-DualAQD-Protein.txt new file mode 100644 index 00000000..521c3854 --- /dev/null +++ b/CVResults/Protein/DualAQD/regression_report-DualAQD-Protein.txt @@ -0,0 +1,3 @@ +Overall MSE 14.786893 (+/- 0.404429) +Overall PICP 0.950448 (+/- 0.000746) +Overall MPIW 13.019126 (+/- 0.264994) \ No newline at end of file diff --git a/CVResults/Protein/DualAQD/validation_MPIW-DualAQD-Protein.npy b/CVResults/Protein/DualAQD/validation_MPIW-DualAQD-Protein.npy new file mode 100644 index 00000000..2f358275 Binary files /dev/null and b/CVResults/Protein/DualAQD/validation_MPIW-DualAQD-Protein.npy differ diff --git a/CVResults/Protein/DualAQD/validation_MSE-DualAQD-Protein.npy 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+DualAQD vs QD: t-value = -0.547500. p-value = 0.5973484846990809) +DualAQD vs MC-Dropout-PI: t-value = 4.455272. p-value = 0.0015880575579336812) +MSE +DualAQD vs QD+: t-value = -16.320280. p-value = 5.410872588651277e-08) +DualAQD vs QD: t-value = -13.942436. p-value = 2.1251433430021832e-07) +DualAQD vs MC-Dropout-PI: t-value = -18.766589. p-value = 1.5906076483156267e-08) diff --git a/CVResults/Year/DualAQD/regression_report-DualAQD-Year.txt b/CVResults/Year/DualAQD/regression_report-DualAQD-Year.txt new file mode 100644 index 00000000..166d86e2 --- /dev/null +++ b/CVResults/Year/DualAQD/regression_report-DualAQD-Year.txt @@ -0,0 +1,3 @@ +Overall MSE 73.262320 (+/- 0.759510) +Overall PICP 0.951382 (+/- 0.001179) +Overall MPIW 29.683145 (+/- 0.287871) \ No newline at end of file diff --git a/CVResults/Year/DualAQD/validation_MPIW-DualAQD-Year.npy b/CVResults/Year/DualAQD/validation_MPIW-DualAQD-Year.npy new file mode 100644 index 00000000..10a42742 Binary files /dev/null and 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b/CVResults/Year/comparison_MSE.jpg new file mode 100644 index 00000000..02f8fb1f Binary files /dev/null and b/CVResults/Year/comparison_MSE.jpg differ diff --git a/CVResults/Year/comparison_PICP.jpg b/CVResults/Year/comparison_PICP.jpg new file mode 100644 index 00000000..e4acd538 Binary files /dev/null and b/CVResults/Year/comparison_PICP.jpg differ diff --git a/CVResults/Year/t-test.txt b/CVResults/Year/t-test.txt new file mode 100644 index 00000000..e8c2b45a --- /dev/null +++ b/CVResults/Year/t-test.txt @@ -0,0 +1,12 @@ +MPIW +DualAQD vs QD+: t-value = -31.734684. p-value = 1.5040261832360804e-10) +DualAQD vs QD: t-value = -72.594157. p-value = 9.030757183820987e-14) +DualAQD vs MC-Dropout-PI: t-value = -45.170332. p-value = 6.388095930241184e-12) +PICP +DualAQD vs QD+: t-value = -0.770642. p-value = 0.46066987790568126) +DualAQD vs QD: t-value = -13.595632. p-value = 2.6410808189266947e-07) +DualAQD vs MC-Dropout-PI: t-value = 35.515378. p-value = 5.50161717289826e-11) +MSE +DualAQD vs QD+: t-value = -11.589784. p-value = 1.0349457056663696e-06) +DualAQD vs QD: t-value = -34.844817. p-value = 6.523872405719049e-11) +DualAQD vs MC-Dropout-PI: t-value = 4.090845. p-value = 0.002713604868225692) diff --git a/Datasets/GenerateDatasets.py b/Datasets/GenerateDatasets.py index 8a884cc4..af1d69f3 100644 --- a/Datasets/GenerateDatasets.py +++ b/Datasets/GenerateDatasets.py @@ -49,6 +49,10 @@ def __init__(self, dataset: str = 'S0'): D = pd.read_csv('Datasets//yacht_data.csv') self.X = D.drop(['Y'], axis=1).to_numpy() self.Y = D['Y'].to_numpy() + elif dataset == 'Year': + D = pd.read_csv('Datasets//yearMSD_data.csv') + self.X = D.iloc[:, 1:].to_numpy() + self.Y = D.iloc[:, 0].to_numpy() elif dataset == 'Synth': self.X, self.Y, _, _ = create_synth_data() self.X = np.reshape(self.X, (len(self.X), 1)) diff --git a/PIGenerator.py b/PIGenerator.py index c56d39c5..24d66e88 100644 --- a/PIGenerator.py +++ b/PIGenerator.py @@ -66,92 +66,93 @@ def train(self, crossval='10x1', batch_size=16, epochs=500, alpha_=0.01, printPr ntrain = 1 # Iterate through each partition for first, second in iterator: - if crossval == '10x1': - # Gets the list of training and test images using kfold.split - train = np.array(first) - test = np.array(second) - else: - # Split the dataset in 2 parts with the current seed - train, test = train_test_split(range(len(self.X)), test_size=0.50, random_state=second) - train = np.array(train) - test = np.array(test) - - print("\n******************************") - print("Training fold: " + str(ntrain)) - print("******************************") - # Normalize using the training set - Xtrain, means, stds = utils.normalize(self.X[train]) - Ytrain, maxs, mins = utils.minMaxScale(self.Y[train]) - Xval = utils.applynormalize(self.X[test], means, stds) - Yval = utils.applyMinMaxScale(self.Y[test], maxs, mins) - - # Define path where the model will be saved - filepath = folder + "//weights-" + self.method + "-" + self.dataset + "-" + str(ntrain) - - # Train model(s). AQD and MCDropout use one model while QD and QD+ use an ensemble of 5 models - mse, PICP, MPIW = None, None, None - if self.method in ['DualAQD', 'MCDropout']: - m = 1 - else: - m = 5 - filepath = [filepath] * m # Array that will contain the filepath of each model of the ensemble - for mi in range(m): + if ntrain >= 1: + if crossval == '10x1': + # Gets the list of training and test images using kfold.split + train = np.array(first) + test = np.array(second) + else: + # Split the dataset in 2 parts with the current seed + train, test = train_test_split(range(len(self.X)), test_size=0.50, random_state=second) + train = np.array(train) + test = np.array(test) + + print("\n******************************") + print("Training fold: " + str(ntrain)) + print("******************************") + # Normalize using the training set + Xtrain, means, stds = utils.normalize(self.X[train]) + Ytrain, maxs, mins = utils.minMaxScale(self.Y[train]) + Xval = utils.applynormalize(self.X[test], means, stds) + Yval = utils.applyMinMaxScale(self.Y[test], maxs, mins) + + # Define path where the model will be saved + filepath = folder + "//weights-" + self.method + "-" + self.dataset + "-" + str(ntrain) + + # Train model(s). AQD and MCDropout use one model while QD and QD+ use an ensemble of 5 models + mse, PICP, MPIW = None, None, None if self.method in ['DualAQD', 'MCDropout']: - f = filepath + m = 1 else: - filepath[mi] = filepath[mi] + "-Model" + str(mi) - f = filepath[mi] - # Train the model using the current training-validation split + m = 5 + filepath = [filepath] * m # Array that will contain the filepath of each model of the ensemble + for mi in range(m): + if self.method in ['DualAQD', 'MCDropout']: + f = filepath + else: + filepath[mi] = filepath[mi] + "-Model" + str(mi) + f = filepath[mi] + # Train the model using the current training-validation split + self.model = self.reset_model() + _, _, _, mse, PICP, MPIW = self.model.trainFold(Xtrain=Xtrain, Ytrain=Ytrain, Xval=Xval, Yval=Yval, + batch_size=batch_size, epochs=epochs, filepath=f, + printProcess=printProcess, alpha_=alpha_, + yscale=[maxs, mins]) + + # Run the model over the validation set 'MC-samples' times and Calculate PIs and metrics + if self.method not in ['DualAQD']: # DualAQD already performs validation and aggregation in "trainFold" + [mse, PICP, MPIW, ypred, y_u, y_l] = self.calculate_metrics(Xval, Yval, maxs, mins, filepath) + print('PERFORMANCE AFTER AGGREGATION:') + print("Val MSE: " + str(mse) + " Val PICP: " + str(PICP) + " Val MPIW: " + str(MPIW)) + + # Add metrics to the list + cvmse.append(mse) + cvpicp.append(PICP) + cvmpiw.append(MPIW) + + # Plot synthetic dataset using results from the last validation fold + if self.dataset == "Synth": # and ntrain == 10: + if self.method in ['DualAQD']: + self.model.loadModel(filepath) + yout = self.model.evaluateFoldUncertainty(valxn=Xval, maxs=None, mins=None, batch_size=32, + MC_samples=50) + yout = np.array(yout) + # Obtain upper and lower bounds + y_u = np.mean(yout[:, 0], axis=1) + y_l = np.mean(yout[:, 1], axis=1) + ypred = np.mean(yout[:, 2], axis=1) + ypred = utils.reverseMinMaxScale(ypred, maxs, mins) + y_u = utils.reverseMinMaxScale(y_u, maxs, mins) + y_l = utils.reverseMinMaxScale(y_l, maxs, mins) + Xvalp = utils.reversenormalize(Xval, means, stds) + _, _, P1, P2 = utils.create_synth_data(plot=True) + diffs = 0 + for iv, x in enumerate(test): + ubound, lbound = P1[x], P2[x] + diffs += np.abs(ubound - y_u[iv]) + np.abs(y_l[iv] - lbound) + cvdiffs.append(diffs) + plt.scatter(Xvalp[:, 0], ypred, label='Predicted Data', s=24) + plt.scatter(Xvalp[:, 0], y_u, label='Predicted Upper Bounds', s=24) + plt.scatter(Xvalp[:, 0], y_l, label='Predicted Lower Bounds', s=24, c='gold') + plt.legend(bbox_to_anchor=(1.06, 0.6), fontsize=18) + plt.title(self.method, fontsize=24) + plt.xlabel('x', fontsize=22) + plt.ylabel('y', fontsize=22) + plt.xticks(fontsize=22) + plt.yticks(fontsize=22) + + # Reset all weights self.model = self.reset_model() - _, _, _, mse, PICP, MPIW = self.model.trainFold(Xtrain=Xtrain, Ytrain=Ytrain, Xval=Xval, Yval=Yval, - batch_size=batch_size, epochs=epochs, filepath=f, - printProcess=printProcess, alpha_=alpha_, - yscale=[maxs, mins]) - - # Run the model over the validation set 'MC-samples' times and Calculate PIs and metrics - if self.method not in ['DualAQD']: # DualAQD already performs validation and aggregation in "trainFold" - [mse, PICP, MPIW, ypred, y_u, y_l] = self.calculate_metrics(Xval, Yval, maxs, mins, filepath) - print('PERFORMANCE AFTER AGGREGATION:') - print("Val MSE: " + str(mse) + " Val PICP: " + str(PICP) + " Val MPIW: " + str(MPIW)) - - # Add metrics to the list - cvmse.append(mse) - cvpicp.append(PICP) - cvmpiw.append(MPIW) - - # Plot synthetic dataset using results from the last validation fold - if self.dataset == "Synth": # and ntrain == 10: - if self.method in ['DualAQD']: - self.model.loadModel(filepath) - yout = self.model.evaluateFoldUncertainty(valxn=Xval, maxs=None, mins=None, batch_size=32, - MC_samples=50) - yout = np.array(yout) - # Obtain upper and lower bounds - y_u = np.mean(yout[:, 0], axis=1) - y_l = np.mean(yout[:, 1], axis=1) - ypred = np.mean(yout[:, 2], axis=1) - ypred = utils.reverseMinMaxScale(ypred, maxs, mins) - y_u = utils.reverseMinMaxScale(y_u, maxs, mins) - y_l = utils.reverseMinMaxScale(y_l, maxs, mins) - Xvalp = utils.reversenormalize(Xval, means, stds) - _, _, P1, P2 = utils.create_synth_data(plot=True) - diffs = 0 - for iv, x in enumerate(test): - ubound, lbound = P1[x], P2[x] - diffs += np.abs(ubound - y_u[iv]) + np.abs(y_l[iv] - lbound) - cvdiffs.append(diffs) - plt.scatter(Xvalp[:, 0], ypred, label='Predicted Data', s=24) - plt.scatter(Xvalp[:, 0], y_u, label='Predicted Upper Bounds', s=24) - plt.scatter(Xvalp[:, 0], y_l, label='Predicted Lower Bounds', s=24, c='gold') - plt.legend(bbox_to_anchor=(1.06, 0.6), fontsize=18) - plt.title(self.method, fontsize=24) - plt.xlabel('x', fontsize=22) - plt.ylabel('y', fontsize=22) - plt.xticks(fontsize=22) - plt.yticks(fontsize=22) - - # Reset all weights - self.model = self.reset_model() ntrain += 1 @@ -384,34 +385,37 @@ def tune(self): if __name__ == '__main__': + # The following configurations yield the same results as those shown in the paper + # (except for Boston and Concrete that re slightly better here) + name = 'Boston' + predictor = PIGenerator(dataset=name, method='DualAQD') + predictor.train(crossval='10x1', batch_size=16, epochs=3000, printProcess=False, alpha_=0.01) + name = 'Concrete' + predictor = PIGenerator(dataset=name, method='DualAQD') + predictor.train(crossval='10x1', batch_size=16, epochs=3000, printProcess=False, alpha_=.005) + name = 'Energy' + predictor = PIGenerator(dataset=name, method='DualAQD') + predictor.train(crossval='10x1', batch_size=16, epochs=3500, printProcess=False, alpha_=0.05) + name = 'Kin8nm' + predictor = PIGenerator(dataset=name, method='DualAQD') + predictor.train(crossval='10x1', batch_size=16, epochs=1000, printProcess=False, alpha_=0.005) + name = 'Power' + predictor = PIGenerator(dataset=name, method='DualAQD') + predictor.train(crossval='10x1', batch_size=16, epochs=4000, printProcess=False, alpha_=0.05) name = 'Protein' + predictor = PIGenerator(dataset=name, method='QD') + predictor.train(crossval='10x1', batch_size=512, epochs=3500, printProcess=False, alpha_=1) + name = 'Yacht' predictor = PIGenerator(dataset=name, method='DualAQD') - # predictor.train(crossval='10x1', batch_size=512, epochs=2000, printProcess=False, alpha_=0.01) - predictor.tune() + predictor.train(crossval='10x1', batch_size=16, epochs=4500, printProcess=True, alpha_=0.005) + name = 'Year' + predictor = PIGenerator(dataset=name, method='DualAQD') + predictor.train(crossval='10x1', batch_size=512, epochs=200, printProcess=False, alpha_=.008) + name = 'Synth' + predictor = PIGenerator(dataset=name, method='DualAQD') + predictor.train(crossval='10x1', batch_size=16, epochs=4500, printProcess=False, alpha_=0.005) - # name = 'Boston' - # predictor = PIGenerator(dataset=name, method='DualAQD') - # predictor.train(crossval='10x1', batch_size=16, epochs=3000, printProcess=False, alpha_=0.01) - # name = 'Concrete' - # predictor = PIGenerator(dataset=name, method='DualAQD') - # predictor.train(crossval='10x1', batch_size=16, epochs=3000, printProcess=False, alpha_=0.01) - # name = 'Energy' - # predictor = PIGenerator(dataset=name, method='DualAQD') - # predictor.train(crossval='10x1', batch_size=16, epochs=3500, printProcess=False, alpha_=0.05) - # name = 'Kin8nm' - # predictor = PIGenerator(dataset=name, method='DualAQD') - # predictor.train(crossval='10x1', batch_size=16, epochs=1000, printProcess=False, alpha_=0.005) - # name = 'Power' - # predictor = PIGenerator(dataset=name, method='DualAQD') - # predictor.train(crossval='10x1', batch_size=16, epochs=4000, printProcess=False, alpha_=0.05) - # name = 'Yacht' - # predictor = PIGenerator(dataset=name, method='DualAQD') - # predictor.train(crossval='10x1', batch_size=16, epochs=4500, printProcess=True, alpha_=0.005) - # name = 'Synth' - # predictor = PIGenerator(dataset=name, method='DualAQD') - # predictor.train(crossval='10x1', batch_size=16, epochs=4500, printProcess=False, alpha_=0.005) - # - # # TUNING EXAMPLE - # name = 'Power' - # predictor = PIGenerator(dataset=name, method='DualAQD') - # predictor.tune() + # TUNING EXAMPLE + name = 'Power' + predictor = PIGenerator(dataset=name, method='DualAQD') + predictor.tune() diff --git a/StatisticsandPlots.py b/StatisticsandPlots.py index eeddc70d..d3a475a4 100644 --- a/StatisticsandPlots.py +++ b/StatisticsandPlots.py @@ -6,7 +6,7 @@ from scipy import stats # Box-plot -datasets = ["Energy"] # ["Boston", "Concrete", "Energy", "Kin8nm", "Power", "Synth", "Wine", "Yacht"] +datasets = ["Boston", "Concrete"] # ["Boston", "Concrete", "Energy", "Kin8nm", "Power", "Protein", "Synth", "Wine", "Yacht", "Year"] for dataset in datasets: for metric in ['MPIW', 'PICP', 'MSE']: diff --git a/TuningResults/Protein/DualAQD/weights-DualAQD-Protein-1 b/TuningResults/Protein/DualAQD/weights-DualAQD-Protein-1 new file mode 100644 index 00000000..22d7b765 Binary files /dev/null and b/TuningResults/Protein/DualAQD/weights-DualAQD-Protein-1 differ diff --git a/images/box_plots.jpg b/images/box_plots1.jpg similarity index 100% rename from images/box_plots.jpg rename to images/box_plots1.jpg diff --git a/images/box_plots2.jpg b/images/box_plots2.jpg new file mode 100644 index 00000000..ef000f0e Binary files /dev/null and b/images/box_plots2.jpg differ diff --git a/models/NNModel.py b/models/NNModel.py index 7345a9bb..0d9b0f59 100644 --- a/models/NNModel.py +++ b/models/NNModel.py @@ -7,6 +7,7 @@ from tqdm import trange from torch import optim from models.network import * + # import matplotlib.pyplot as plt np.random.seed(7) # Initialize seed to get reproducible results @@ -40,18 +41,18 @@ def DualAQD_objective(y_pred, y_true, beta_, pe): y_l = y_pred[:, 1] y_o = pe.detach().squeeze(1) - MPIW_p = torch.mean(torch.abs(y_u - y_true) + torch.abs(y_true - y_l)) # Calculate MPIW_penalty - cs = torch.max(torch.abs(y_o - y_true).detach()) - # DualAQD reported in the paper - Constraints = (torch.exp(torch.mean(-y_u + y_true) + cs) + - torch.exp(torch.mean(-y_true + y_l) + cs)) - - # IMPORTANT: - # Alternatively, this function works slightly better but needs a separate fine-tuning - # Constraints = (torch.exp(torch.max(torch.mean(-y_u + y_true) + cs, torch.mean(-y_true + y_l) + cs))) + if beta_ is not None: + MPIW_p = torch.mean(torch.abs(y_u - y_true) + torch.abs(y_true - y_l)) # Calculate MPIW_penalty + cs = torch.max(torch.abs(y_o - y_true).detach()) + # DualAQD reported in the paper + Constraints = (torch.exp(torch.mean(-y_u + y_true) + cs) + + torch.exp(torch.mean(-y_true + y_l) + cs)) - # Calculate loss - Loss_S = MPIW_p + Constraints * beta_ + # Calculate loss + Loss_S = MPIW_p + Constraints * beta_ + else: # During the first epochs, the lower and upper bounds are trained to match the output of the first NN + MPIW_p = torch.mean(torch.abs(y_u - y_o) + torch.abs(y_o - y_l)) # Calculate MPIW_penalty + Loss_S = MPIW_p return Loss_S @@ -72,7 +73,7 @@ def AQD_objective(y_pred, y_true, beta_): torch.exp(torch.mean(-y_o.detach() + y_l) + torch.max(torch.abs(y_o.detach() - y_true)).detach()) + torch.exp(torch.mean(-y_u + y_l))) # Calculate loss - Loss_S = (1 - beta_[0]) * MPIW_p + MSE * beta_[0] + Constraints * beta_[1] + Loss_S = MPIW_p + MSE * beta_[0] + Constraints * beta_[1] return Loss_S @@ -210,8 +211,9 @@ def trainFold(self, Xtrain, Ytrain, Xval, Yval, batch_size, epochs, filepath, pr widths = [0] picp, picptr, max_picptr, epoch_max_picptr = 0, 0, 0, 0 first95 = True # This is a flag used to check if validation PICP has already reached 95% during the training - first100 = False # This is a flag used to check if training PICP has already reached 100% during the training - top = .95 + # first100 = False # This is a flag used to check if training PICP has already reached 100% during the training + warmup = 10 # Warmup period. Just helps to get rid of inconsistencies faster + top = 1 alpha_0 = alpha_ err_prev, err_new, beta_, beta_prev, d_err = 0, 0, 1, 0, 1 @@ -237,15 +239,21 @@ def trainFold(self, Xtrain, Ytrain, Xval, Yval, batch_size, epochs, filepath, pr ################################################## for epoch in trange(epochs): # Epoch loop # Batch sorting - if epoch > 0 and (self.method in ['AQD', 'DualAQD', 'QD', 'QD+']): + if epoch > warmup and (self.method in ['DualAQD', 'QD', 'QD+']): indexes = np.argsort(widths) + else: + np.random.shuffle(indexes) - self.model.network.train() # Sets training mode - running_loss = 0.0 + # Shuffle batches + list_inds = [] for step in range(T): # Batch loop # Generate indexes of the batch - inds = indexes[step * batch_size:(step + 1) * batch_size] + list_inds.append(indexes[step * batch_size:(step + 1) * batch_size]) + random.shuffle(list_inds) + self.model.network.train() # Sets training mode + running_loss = 0.0 + for step, inds in enumerate(list_inds[:-1]): # Batch loop # Get actual batches Xtrainb = torch.from_numpy(Xtrain[inds]).float().to(self.device) Ytrainb = torch.from_numpy(Ytrain[inds]).float().to(self.device) @@ -255,13 +263,12 @@ def trainFold(self, Xtrain, Ytrain, Xval, Yval, batch_size, epochs, filepath, pr # forward + backward + optimize outputs = self.model.network(Xtrainb) - if self.method == 'AQD': - if not isinstance(alpha_, list): - alpha_ = [0.8, 0.2] - loss = AQD_objective(outputs, Ytrainb, beta_=alpha_) - elif self.method == 'DualAQD': + if self.method == 'DualAQD': point_estimates = self.basemodel.model.network(Xtrainb) - loss = DualAQD_objective(outputs, Ytrainb, beta_=beta_, pe=point_estimates) + if epoch > warmup: + loss = DualAQD_objective(outputs, Ytrainb, beta_=beta_, pe=point_estimates) + else: # During the warmup period the objective is that \hat{y}^u = \hat{y}^l = \hat{y} + loss = DualAQD_objective(outputs, Ytrainb, beta_=None, pe=point_estimates) elif self.method == 'QD': loss = QD_objective(outputs, Ytrainb, device=self.device, beta_=alpha_) elif self.method == 'QD+': @@ -281,25 +288,11 @@ def trainFold(self, Xtrain, Ytrain, Xval, Yval, batch_size, epochs, filepath, pr with torch.no_grad(): self.model.network.eval() if self.method in ['DualAQD', 'MCDropout']: # These methods use mult forward passes w active dropout - enable_dropout(self.model.network) - ypredtr, ypred, petr, pe = 0, 0, 0, 0 samples = 50 - for r in range(samples): - ypredtr += self.model.network(torch.from_numpy(Xtrain).float().to(self.device)).cpu().numpy() - ypred += self.model.network(torch.from_numpy(Xval).float().to(self.device)).cpu().numpy() - if self.method in ['DualAQD']: # Include base model outputs - self.basemodel.model.network.eval() - petr += self.basemodel.model.network(torch.from_numpy(Xtrain).float(). - to(self.device)).cpu().numpy() - pe += self.basemodel.model.network(torch.from_numpy(Xval).float(). - to(self.device)).cpu().numpy() - ypredtr /= samples - ypred /= samples - if self.method in ['DualAQD']: # Attach base model output to the last column - petr /= samples - pe /= samples - ypredtr = np.concatenate((ypredtr, petr), axis=1) - ypred = np.concatenate((ypred, pe), axis=1) + ypredtr = self.evaluateFoldUncertainty(valxn=Xtrain, batch_size=len(Xtrain), MC_samples=samples) + ypred = self.evaluateFoldUncertainty(valxn=Xval, batch_size=len(Xval), MC_samples=samples) + ypredtr = np.mean(ypredtr, axis=2) + ypred = np.mean(ypred, axis=2) else: ypredtr = self.model.network(torch.from_numpy(Xtrain).float().to(self.device)).cpu().numpy() ypred = self.model.network(torch.from_numpy(Xval).float().to(self.device)).cpu().numpy() @@ -348,12 +341,13 @@ def trainFold(self, Xtrain, Ytrain, Xval, Yval, batch_size, epochs, filepath, pr PICP.append(picp) # Get a vector of all the PI widths in the training set widths = (y_utr - y_ltr).cpu().numpy() + # widths = np.abs(Ytrain_original - ypredtr[:, 2]) ################################################## # Save model if there's improvement ################################################## # Save model if PICP increases - if self.method in ['AQD', 'DualAQD', 'QD+', 'QD']: + if self.method in ['DualAQD', 'QD+', 'QD']: # Criteria 1: If <95, choose max picp, if picp>95, choose any picp if width= 0.9499 and first95) or \ @@ -375,24 +369,25 @@ def trainFold(self, Xtrain, Ytrain, Xval, Yval, batch_size, epochs, filepath, pr # Adaptive hyperparameter algorithm ################################################## # Check if picp has reached convergence - if picptr > max_picptr: - max_picptr = picptr - epoch_max_picptr = epoch - else: - if epoch == epoch_max_picptr + 30 and \ - picptr <= max_picptr: # If 30 epochs have passed without increasing PICP - first100 = True - top = .95 - alpha_0 = alpha_ / 2 - # Beta hyperparameter - if picptr >= 0.999 and not first100: - first100 = True - top = .95 - alpha_0 = alpha_ / 2 - err_new = top - picptr - beta_ = beta_ + alpha_0 * err_new - # Update parameters - BETA.append(beta_) + if epoch >= warmup and self.method == 'DualAQD': + if picptr > max_picptr: + max_picptr = picptr + epoch_max_picptr = epoch + else: + if epoch == epoch_max_picptr + 500 and \ + picptr <= max_picptr: # If 500 epochs have passed without increasing PICP + top = .95 + # first100 = True + # alpha_0 = alpha_ / 2 + # if picptr >= 0.999 and not first100: + # first100 = True + # top = .95 + # alpha_0 = alpha_ / 2 + # Beta hyperparameter + err_new = top - picptr + beta_ = beta_ + alpha_0 * err_new + # Update parameters + BETA.append(beta_) ################################################## # Print @@ -408,6 +403,7 @@ def trainFold(self, Xtrain, Ytrain, Xval, Yval, batch_size, epochs, filepath, pr print(val_mpiw) print(picptr) print(beta_) + print(top) # Save training metrics if filepath is not None: @@ -457,7 +453,7 @@ def evaluateFold(self, valxn, maxs, mins, batch_size): return ypred - def evaluateFoldUncertainty(self, valxn, maxs, mins, batch_size, MC_samples): + def evaluateFoldUncertainty(self, valxn, maxs=None, mins=None, batch_size=512, MC_samples=50): """Retrieve point predictions and PIs""" np.random.seed(7) # Initialize seed to get reproducible results random.seed(7) diff --git a/utils.py b/utils.py index 48cd2ec3..613829e2 100644 --- a/utils.py +++ b/utils.py @@ -73,26 +73,3 @@ def reverseMinMaxScale(testx, maxs, mins): testxn = (testxn * (maxs - mins) / 10) + mins return testxn - - -def create_synth_data(n=1000, plot=False): - """Create a synthetic sinusoidal dataset with varying PI width""" - np.random.seed(7) - X = np.linspace(-5, 5, num=n) - randn = np.random.normal(size=n) - gauss = (2 + 2 * np.cos(1.2 * X)) - noise = gauss * randn - orig = 10 + 5 * np.cos(X + 2) - Y = orig + noise - P1 = orig + 1.96 * gauss - P2 = orig - 1.96 * gauss - if plot: - plt.figure(figsize=(9.97, 7.66)) - # plt.fill_between(X, P1, P2, color='gray', alpha=0.5, linewidth=0, label='Ideal 95% PIs') - plt.scatter(X, Y, label='Data with noise') - plt.plot(X, orig, 'r', label='True signal') - plt.legend() - return X, Y, P1, P2 - - -create_synth_data(n = 100) \ No newline at end of file